Re: st: RE: ivreg2 and xtoverid error

I get exactly the same estimates and standard errors with -ivreg- and
-ivregress-, with the cluster robust variance estimator. When using
-ivreg2- with the -noid- option it works and I get the same estimates;
more importantly, I also get the Hansen J-test, which is what interests
me most (the -ivregress- estimator does not report an overid for
cluster-robust vce's):

Note, my estimates make sense and the regressors I expected to be
significant are mostly significant. I guess I can assume that my
estimates are consistent--and this because the endogeneity test is
significant (from -ivregres-), right?

John,
You've got a very large number of instruments (almost 500), but also 13
endogenous regressors. The under- and weak-id statistics are calculated
by -ranktest-, and it's running of memory because it works with the
reduced form in matrix form (13 first-stage regressions, each with
almost 500 regressors).
If you use the -noid- option, it might address that problem problem (but
you won't get the weak id stats).

The

invsym(): matrix has missing values
is different. -ivreg2- is having problems inverting this huge Z'Z
matrix and -ivregress- isn't (I think possibly because the latter uses
a different Mata matrix inversion function). I do wonder whether the
results you're getting actually make sense.
Have you tried using the old -ivreg-, which uses -regress-? It is
numerically very stable and accurate. Does it give the same results as
-ivregress-?
Cheers,
Mark